Publications Database

Welcome to the new Schulich Peer-Reviewed Publication Database!

The database is currently in beta-testing and will be updated with more features as time goes on. In the meantime, stakeholders are free to explore our faculty’s numerous works. The left-hand panel affords the ability to search by the following:

  • Faculty Member’s Name;
  • Area of Expertise;
  • Whether the Publication is Open-Access (free for public download);
  • Journal Name; and
  • Date Range.

At present, the database covers publications from 2012 to 2020, but will extend further back in the future. In addition to listing publications, the database includes two types of impact metrics: Altmetrics and Plum. The database will be updated annually with most recent publications from our faculty.

If you have any questions or input, please don’t hesitate to get in touch.


Search Results

Yeomans, Julian Scott and E. Pätäri, P. Luukka, and S. Ahmed (2023). "Can Monthly-Return Rank Order Reveal a Hidden Dimension of Momentum? The Post-Cost Evidence from the U.S. Stock Markets", North American Journal of Economics and Finance, 65, 101884.

Open Access Download

Abstract We introduce a new return-momentum indicator that is based on monotonicity of monthly-return rank order within a lookback period (henceforth abbreviated as MRRO). Based on an extensive post-cost performance comparison of long-only momentum portfolios formed on six stand-alone and 36 double-sort criteria across three holding period lengths in the non-microcap universe of U.S. stocks over the 55-year sample period, MRRO is particularly useful for annual holding periods, towards the end of whom the conventional return-momentum indicators tend to lose their prediction power. Based on the return-based style analysis, MRRO adds some favorable style-diversification characteristics into long-only momentum portfolio selection.